Just thought I'd let you know the problem's not confined to Comodo firewall, it also happens with the Windows 7 firewall and it's not just about firefox. You can easily try this.
Install Avast 7 and make sure everything works correctly
Change the properties of the Windows 7 firewall profiles, so that 'Outbound connections that do not match a rule are blocked'
Try to make a connection with a browser - it should fail because there's no rule to allow the connection.
Now add a rule to allow AvastSvc.exe to make outbound connections.
Reopen you browser and try to make a connection. This time it will succeed, even though it still doesn't have a rule of it's own.
Now open any application that uses a direct connection over TCP port 80 for updates and try to update. It will also succeed, again without an explicit rule
These connections work because they being routed through the Avast proxy and it shouldn't be happening this way, it's making a mockery of the firewall(s). There again, the firewall(s) should be able to block these connections...
Edit: If an explicit block rule, for the browser, is added to the firewall, connections can still be made. This is in a firewall where block rules take precedence over allow rules.
If anyone has tried any other firewalls it would be good to know if they also allow these connections.